Feb. 20 (Bloomberg) -- JPMorgan Chase & Co., the biggest
U.S. bank, revised its gauge of market gains and losses to
incorporate new regulatory requirements, resulting in a jump in
the frequency of losses last year.

Under the new method, JPMorgan posted gains on 177 of the
260 trading days in 2013 and twice exceeded its estimated value-at-risk, according to the New York-based firm’s annual filing
with the Securities and Exchange Commission today. With the old
measurement, the bank had zero days of trading losses and never
surpassed its VaR target, the firm said.

Value at risk is one measure that banks use to gauge how
much traders could lose in a single day. JPMorgan disclosed in
June 2012 that a miscalculation in VaR was one reason the firm
failed to prevent a London-based trader from losing more than
$6.2 billion that year. The “London Whale” episode led to
criminal charges against two of the trader’s former colleagues,
management changes and more scrutiny from regulators.

JPMorgan’s new formula calculates gains and losses by
excluding fees, commissions, fair-value adjustments, net
interest income and intraday trading fluctuations, the firm
said. That’s consistent with what regulators use under
international standards known as Basel 2.5, the company said.

The previous method included the change in the value of the
firm’s principal transaction revenue, trading-related net
interest income, and revenue from hedges.

JPMorgan’s corporate and investment bank, run by Mike
Cavanagh and Daniel Pinto, earned $15.5 billion from fixed-income trading and $4.76 billion from equities last year, up a
combined 2 percent from 2012.